Market impact
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Trading heads call for reform of double volume caps
Asset managers endorse UK move on caps and back changes to EU’s unloved share trading restrictions
Machine learning will create new sales-bots – UBS’s Nuti
Technologists working to automate indications of interest from trading desks
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Covid-19 tumult prompts rethink of buy-side risk management
Buy-side risk survey: investment firms making changes to their risk reports, stress tests and concentration limits
Why Asian firms expect a major systems and data overhaul
In this feature, Bing Li, head of Asia‑Pacific, and Steffan Tsilimos, global head of interest rate derivatives products at Bloomberg, explore the implications of the Libor transition on the Asia markets and the broader market impact of the transition
Volatile FX markets reveal pitfalls of RFQ
Clients urged to mask trading intent; critics warn of subtle sell-side advantages
Introducing stylized facts on electricity futures through a market impact model
This paper provides an alternative way to introduce the stylized facts on electricity futures.
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Buy-side quant of the year: Gordon Ritter
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
From AI to cheese: funds seek fixes for trend following
Firms turn to machine learning, hybrid products and new markets to boost returns
Equity market impact modeling: an empirical analysis for the Chinese market
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period